datetime(futures_data['DATE'])options_data['DATE']=pd.to_datetime(options_data['DATE'])futures_data['MATURITY']=pd.to_datetime(futures_data['MATURITY'])options_data['MATURITY']=pd.to_datetime(options_data['MATURITY'])h5.close()## 开始仿真V0=17.6639r=0.01# imp_vol -> implied volality...
def bsm_imp_vol(S0, K, T, r, C0, sigma_est, it=100): """ Implied volatility of European call option in BSM model. Parameters === S0 : float initial stock/index level K : float strick price T : float maturity date (in year fractions) r : float constant risk-free short rate s...
Baumer GI333.A7041234.75-30VDC1024Imp. SIGNALDRAHT KPL. 35M OILTECH型号LOC2-23-4-D-C-0-00-S25-00-0 LIKA 4WE10C33/CG24N9K4 with plug STERMAN型号124-3927/201-0671209 danfoss FC-302P55KT5E20H1XGC,55KW INA型号ZARN2557 LTN WWAK3-5-SSP3/S90 norelem 09069-12... POMINI Rubber & Plas...
SAMSONIMPVT4-20DN50PN16 WAYCONMAZ-S-B-1750-G-4 Di-soric接近开关NSIR25PSOK-IBS BVP3Z-WG110 15年国外*品牌Fuch UmwelttechnikVTE9371 优势品牌HUBNERPOG10D10241537656 SHR-012/2 SIEMENS接口模块6ES7357-4AH03-3AE0 DS1G-02/25-0410.208.41-N-B5 ...
imp_vol_newton_51:[0.2663830055838, 0.2623349770104388, 0.25886692974504383, 0.25514765329363565, 0.25388257585478174, 0.25112748137747243, 0.25311127192458244, 0.25282431711916714, 0.25334527303228827] imp_vol_dichotomy_51:[0.26638298481702805, 0.26233501732349396, 0.25886694341897964, 0.2551477253437042, 0.25388259440660477, 0.2511...
def bsm_call_imp_vol_dichotomy(s0,k,t,r,c): c_est = 0 top = 3 #波动率上限 floor = 0 #波动率下限 sigma = ( floor + top )/2 #波动率初始值 while abs( c - c_est ) > 1e-8: c_est = bsm_call_value(s0,k,t,r,sigma) ...